Société Générale / Risk Report - Pillar III

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STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS

Overall sensitivity of the Group’s value to structural interest rate risk in the event of a parallel shift in the yield curves of +10 bp at end 2019 (in % of regulatory capital) < 0.1% Group net interest margin sensitivity over three years, in the event of a parallel shift in the yield curves of +10 bp in 2019 (in % of the net banking income) 0.7% Maximum sensitivity of the Group’s Common Equity Tier 1 ratio per currency to a 10% change Structural interest and exchange rate risks correspond to the risk of losses of interest margin or value of the fixed rate structural position arising from variations in interest or exchange rates. Structural interest and exchange rate risks arise from commercial activities and from transactions entered into by the Corporate Centre. This section describes the monitoring of structural risks and provides information on structural interest rate and exchange rate risks (operations impacting shareholders’ equity, investments and bond issues). INBRIEF

by currency (in basis points) < 0.4 bp Overall sensitivity all currencies combined

(in basis points) +3.4 bp

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| SOCIETE GENERALE GROUP | PILLAR 3 - 2020